Similar Search Results

On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding.

Pötscher, Benedikt M.; Leeb, Hannes - Volkswirtschaftliche Fakultät, … - 2007

We study the distributions of the LASSO, SCAD, and thresholding estimators, in finite samples and in the large …

Persistent link: https://www.econbiz.de/10005837301

Distributional results for thresholding estimators in high-dimensional Gaussian regression models

Pötscher, Benedikt M.; Schneider, Ulrike - Volkswirtschaftliche Fakultät, … - 2011

We study the distribution of hard-, soft-, and adaptive soft-thresholding estimators within a linear regression model where the number of parameters k can depend on sample size n and may diverge with n. In addition to the case of known error-variance, we define and study versions of the...

Persistent link: https://www.econbiz.de/10009148008

Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors

Bai, Jushan; Ando, Tomohiro - Volkswirtschaftliche Fakultät, … - 2013

This paper analyzes multifactor models in the presence of a large number of potential observable risk factors and unobservable common and group-specific pervasive factors. We show how relevant observable factors can be found from a large given set and how to determine the number of common and...

Persistent link: https://www.econbiz.de/10011107278

Panel data models with grouped factor structure under unknown group membership

Bai, Jushan; Ando, Tomohiro - Volkswirtschaftliche Fakultät, … - 2013

This paper studies panel data models with unobserved group factor structures. The group membership of each unit and the number of groups are left unspecified. The number of explanatory variables can be large. We estimate the model by minimizing the sum of least squared errors with a shrinkage...

Persistent link: https://www.econbiz.de/10011109578

Sparse Linear Models and Two-Stage Estimation in High-Dimensional Settings with Possibly Many Endogenous Regressors

Zhu, Ying - Volkswirtschaftliche Fakultät, … - 2013

obtains the fitted regressors from the first-stage regression by a least square estimator with l_1-regularization (the Lasso …

Persistent link: https://www.econbiz.de/10011109953

Regularized Extended Skew-Normal Regression

Shutes, Karl; Adcock, Chris - Volkswirtschaftliche Fakultät, … - 2013

-normal distribution. The approach is estimated using a number of techniques and compared to OLS based LASSO and ridge regressions in …

Persistent link: https://www.econbiz.de/10011110010

A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios

Griveau-Billion, Théophile; Richard, Jean-Charles; … - Volkswirtschaftliche Fakultät, … - 2013

In this paper we propose a cyclical coordinate descent (CCD) algorithm for solving high dimensional risk parity problems. We show that this algorithm converges and is very fast even with large covariance matrices (n 500). Comparison with existing algorithms also shows that it is one of the most...

Persistent link: https://www.econbiz.de/10011111212

Regularized Skew-Normal Regression

Shutes, Karl; Adcock, Chris - Volkswirtschaftliche Fakultät, … - 2013

-normal distribution. The approach is estimated using a number of techniques and compared to OLS based LASSO and ridge regressions in …

Persistent link: https://www.econbiz.de/10011112040

On the distribution of the adaptive LASSO estimator

Pötscher, Benedikt M.; Schneider, Ulrike - Volkswirtschaftliche Fakultät, … - 2007

We study the distribution of the adaptive LASSO estimator (Zou (2006)) in finite samples as well as in the large …-sample limit. The large-sample distributions are derived both for the case where the adaptive LASSO estimator is tuned to perform …' property of the adaptive LASSO estimator established in Zou 2006). Moreover, we also provide an impossibility result regarding …

Persistent link: https://www.econbiz.de/10005790270

Confidence sets based on penalized maximum likelihood estimators

Pötscher, Benedikt M.; Schneider, Ulrike - Volkswirtschaftliche Fakultät, … - 2008

LASSO, adaptive LASSO, and hard-thresholding are analyzed. It is shown that symmetric intervals are the shortest. The length … based on the adaptive LASSO, which is larger than the length of the shortest interval based on the LASSO, which in turn is …

Persistent link: https://www.econbiz.de/10005026624